V-Lab
Nouveau Global Ventures Ltd Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Friday, September 11th, 2026
1 Day
25,089,930,000.00
1 Week
19,455,860,000.00
1 Month
6,188,507,065.22
Analysis last updated: Friday, September 11, 2026 at 07:27 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Sep 25, 2008 to Sep 4, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
ILLIQ-SMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7596 | 0.03 |
| αARCH | 0.1319 | 0.00 |
| βGARCH | 0.8681 | 0.02 |
| γ1 | -4.1558 | 0.00 |
| γ2 | 18.3106 | 0.00 |
| γ3 | -29.9339 | -0.01 |
| γ4 | 24.2038 | 0.11 |
| γ5 | -9.8299 | -0.06 |
| γ6 | -2.5094 | -0.01 |
| γ7 | 5.0260 | 0.01 |
| γ8 | 1.1478 | 0.00 |
| γ9 | -10.0747 | 0.00 |
| γ10 | 38.6943 | 0.01 |
1.000
Persistence86643d
Half-lifeILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7596 | 0.03 |
α ARCH Response to squared shocks | 0.1319 | 0.00 |
β GARCH Volatility persistence | 0.8681 | 0.02 |
| γ1 | -4.1558 | 0.00 |
| γ2 | 18.3106 | 0.00 |
| γ3 | -29.9339 | -0.01 |
| γ4 | 24.2038 | 0.11 |
| γ5 | -9.8299 | -0.06 |
| γ6 | -2.5094 | -0.01 |
| γ7 | 5.0260 | 0.01 |
| γ8 | 1.1478 | 0.00 |
| γ9 | -10.0747 | 0.00 |
| γ10 | 38.6943 | 0.01 |
Persistence:
1.000
Half-life:
86643 days
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